Category Archives: PubfacLeonA

Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?

Castillo-Brais, B., León, A. & J. Mora.
Mathematics – 2022

18 de November de 2022Pub, PubFac, PubfacLeonA, PubFacMoraJ, PubFeatured, Pubfield, PubfieldFeatured, PubfieldFeaturedMath, PubfieldMath, Pubyear2022By coralio

Copula methods for evaluating relative tail forecasting performance

León, A & T. Ñiguez
Journal of Risk Finance – Forthcoming

18 de October de 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, PubyearForthcomingBy coralio

Polynomial adjusted Student-t densities for modeling asset returns

León, A & T. Ñiguez
European Journal of Finance – Forthcoming

18 de October de 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, PubyearForthcomingBy coralio

The Transformed Gram Charlier distribution: Parametric properties and financial risk applications

León, A & T. Ñiguez
Journal of Empirical Finance – 2021

29 de July de 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2021By coralio

Backtesting VaR under the COVID-19 sudden changes in volatility

Castillo, B., León, A & T. Ñiguez
Finance Research Letters – Forthcoming

22 de April de 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, PubyearForthcomingBy coralio

Modeling asset returns under time-varying semi-nonparametric distributions

Leon, A. and T.M. Ñiguez
Journal of Banking and Finance – 2020

19 de October de 2020Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2020By coralio

Economic stress in non-poor Spanish households during the Great Recession

Ródenas, C., Martí, M., and A. León
Applied Economic Analysis – 2020

14 de October de 2020Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2020By coralio

Estimating the Expected Shortfall of Cryptocurrencies: An Evaluation Based on Backtesting

Acereda, B., León, A. and Mora, J
Finance Research Letters – 2020

14 de October de 2020Pub, PubFac, PubfacLeonA, PubFacMoraJ, Pubfield, Pubyear2020By coralio

Modeling the euro overnight rate

Benito, F., A. León and J. Nave
Journal of Empirical Finance – 2007

07 de January de 2019Pub, PubFac, PubfacLeonA, Pubfield, Pubyear2007By coralio

The relationship between risk and expected return in Europe

León, A., J, Nave and G. Rubio
Journal of Banking and Finance – 2007

07 de January de 2019Pub, PubFac, PubfacLeonA, Pubfield, Pubyear2007By coralio